blackNote that the confidence sequence which contains the mean uniformly over time is better suited in real applications than the classical notion of confidence sets (or intervals) which only applies to a single time instance.
For example, suppose that a practitioner wishes to sequentially estimate the mean of such a stochastic process.
While a user must choose when to stop sample to achieve a desired precision and confidence level a priori when using a confidence interval, a confidence sequence allows the user to determine adaptively in the sequential inference setting thanks to the time uniformity. See also [1]} and [2]}.
